Title: Investigating the dynamic relationship of the Indian stock market with global crude oil and Bitcoin price movement

Authors: Ajit Kumar Dash; Amritkant Mishra; Reeta Tomar; Lopamudra Hota

Addresses: Department of Social Sciences and Humanities, Birla Global University, Bhubaneswar, 751029, India ' Department of Social Sciences and Humanities, Birla Global University, Bhubaneswar, 751029, India ' Department of Economics, CHRIST (Deemed to be University), Delhi NCR Campus, 201003, India ' Department of Social Sciences and Humanities, Birla Global University, Bhubaneswar, 751029, India

Abstract: The current pragmatic investigation strives to estimate the dynamic conditional correlation (DCC) and conditional volatility of the Indian stock exchange with respect to global crude oil and bitcoin price movements. To accomplish the relevant aim, this investigation utilises the generalised autoregressive conditional heteroskedasticity (GARCH) DCC approach for the period with daily time series data ranging from April 4, 2015, to July 31, 2023. The empirical outcome reveals the presence of volatility clustering in the return series of crude oil, bitcoin, and the Indian stock market. Secondly, the outcome of DCC manifests that there is a short-run volatility spillover from crude oil to the Indian stock market; however, there is no such short-run spill existing from bitcoin to the Indian stock market. Finally, our investigation documents the long-term volatility spillover from crude oil and bitcoin price movements to the Indian stock market. Lastly, based on the outcome of conditional variance, it can be concluded that there was an increase in the return volatility of stock exchanges during the period of the COVID-19 pandemic.

Keywords: crude oil; bitcoin; Indian Stock Market; GARCH DCC; volatility.

DOI: 10.1504/IJMEF.2024.144413

International Journal of Monetary Economics and Finance, 2024 Vol.17 No.6, pp.469 - 488

Received: 11 Nov 2023
Accepted: 30 Apr 2024
Published online: 12 Feb 2025 *

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